A: It means that .NET support is not installed.

Install .NET support for ArcGIS9.0, 9.1

For correct installation of .NET support, you should have local administrative privileges.
If you installed the Microsoft .Net Framework v1.1 prior to installing ArcGIS 9.0 then the ESRI Net support will have been automatically installed.
If the Net Framework v1.1 was installed after ArcGIS 9.0 then the following steps have be made to install the ESRI Net support. You can also follow the steps below to validate installation of the ESRI Net support.

1) Install Microsoft Framework 1.1
2) Display the Add or Remove Programs dialog from the Windows Control Panel (see How to Uninstall above for details),
3) Select ArcGIS Desktop from the list of installed programs
4) Click the Change button to launch the installer. (at this point you may be asked for the source media or access to a network folder that was used to install ArcGIS Desktop)
5) Select Modify and then click Next >. The following dialog will appear listing all the current installed components of ArcGIS 9.
6) Click on .NET Support and select "Will be installed on local hard"
7) Click Next>
8) At the confirmation prompt click Next > again.
9) As the new files are installed the following progress dialog will appear. If necessary, the installation can be cancelled by clicking the Cancel button, but this is strongly not recommended.
10) Finally click Finish from the installation wizard

Install .NET support for ArcGIS9.2

For ArcGIS 9.2 need inext steps (thanks to Jayme Laber):
"After some research on the ESRI web site I found the solution. When running ArcView 9.2 you need to install Microsoft Net 2.0 rather than Microsoft Net 1.1. Once I installed Net version 2, I was able to continue through the instructions and was able to complete steps 2 - 10 with no problems. I would suggest a post to your support page that alerts your users to this situation and its solution."
See also 1 and 2 . 

Q: I have installed extension and added the toolbar to my ArcMap session but none of the menu choices except 'About' ever appear as anything but grayed out. What needs to be done to activate the other menu choices?
A: After installation in ArcMap there is a new tool, which it is necessary to make active in a window Tools> Extensions> and check Program

Q. While installing the extension, we get the following error message “An error occurred while installing. This exception will be ignored and the uninstall will continue...... -->cannot delete subkey tree because subkey does not exist.” What is the reason of that and what shall we do?
A. The reasons: The error comes when you are installing the new version of the extension above an old version, in the case when you have installed the old version with an old version of the ArcGIS Service Pack. The error of this type is a typical one for .NET applications, and have a nature of mis-matching versions of the ESRI interoperability library, which have different numbers within ArcGIS. The error is not fixed by the manufacturer of the core program.
What to do? If you have the installer of the previous version, run the installation once again, and then uninstall it. The following installation of a newer module will run smoothly. Another way to solve this problem is to go to the Control Panels - Add/Remove programs – Click on the extension (remove) and the Program will give you several options: Remove and Repair. If you click on “Repair” it will ask for a path to the original installer file. After repairing you could un-install the old version.
If the old version of installer no longer exist. In this case try to solve this problem by going to the Control Panels - Add/Remove programs – Click on the extension (remove) and the Program will give you several options: Remove and Repair. If you click on “Repair” it will ask for a path to the original installer file. Specify the path to a new installer. After repairing you could un-install the program. If it does not work. Go to start menu, click on the “Run” in the start menu and type “Reget” (or if you have another editor of registry, use it). Then manually remove the following keys HKEY_CURRENT_USER\Software\Microsoft\Installer in the subdivisions: Assemblies, Features, Products, UpgradeCodes. Each of this subkeys have information of the products (ArgosTools, Slicemaker, Typeconvert and others). In the subkesy Products find the code of the product (click on the every subkey and find what is its ProductName). Search the registry using this “ProductName” and delete all strings with this “ProductName”.

Q. Program is not install. I see error "Error 1904: failed to register C:\Program Files\ArcGIS\Bin\xmlsupportui.dll or 3dsymbolsui.dll" What do you suggest?
A. Answer see on ESRI support page

Notes:

1. Restrictions on feature class names and field names in geodatabases.
As against shapefile, feature class name and field names in geodatabase must not start with digit, a space and "_" character. Also they must not contain punctuation marks, brackets, quotes and * $ % * + - = / \ | characters.
2. For *.shp files ArcGIS doesn't support field names with length more than 10 characters.